Interfacial localization of graphene in the cocontinuous polymer blends is shown to be effective in stabilizing the cocontinuous morphology and increasing the conductivity with a lower electrical percolation threshold. We created polylactic acid (PLA) and polystyrene (PS) cocontinuous blends filled with thermally reduced graphene oxide (r-GO) jammed at the interface. The resulting conductive composites show dramatically improved conductivity at low filler loadings and an ultralow percolation threshold of 0.028 vol%. We found that r-GO transfers from the PLA phase to the interface during melt compounding and forms a spanning 3D network during annealing, which effective suppresses the coarsening of the cocontinuous structure. Our study demonstrated that the 3D r-GO network significantly increases the conductivity and the storage modulus of the melt blends.